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​​

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Rating Action:

Moody's takes multiple rating actions on BBK deals following structural amendments

25 Feb 2011

Approximately EUR 4.5 billion of rated debt securities affected

London, 25 February 2011 -- Moody's Investors Service has today affirmed the ratings of AyT HIPOTECARIO BBK I, FTA's class A and B notes, and downgraded the ratings of the class C notes.

Moody's Investors Service has today affirmed the ratings of AyT HIPOTECARIO BBK II, FTA's class A notes, and downgraded the ratings of class B and C notes.

Moody's Investors Service has today downgraded the ratings of all classes of notes issued by Serie AYT C.G.H. BBK I, FTA and Serie AYT C.G.H. BBK II, FTA.

These rating actions follow Moody's review of the recent structural changes to these transactions and concluded that these amendments have both positive and negative impact on the ratings, depending on the ranking of the notes. A detailed list of the rating actions is provided at the end of this press release.

RATINGS RATIONALE

BBK was downgraded on 4 January 2011 from A1/P-1 to Baa1/P-2, which triggered Moody´s second rating level criteria under the swap downgrade language (A3/P-2) for all four BBK transactions above mentioned. Following this downgrade the documentation was amended so that BBK could remain as swap counterparty until the loss of Baa3/P-3 rating level, which in Moody´s opinion negatively impacts all classes of notes and introduces further linkage to the swap counterparty rating.

Additionally, other structural amendments relate to the inclusion of interest deferral triggers for the junior classes of notes based on cumulative defaults for the transactions Serie AYT C.G.H. BBK I, FTA and Serie AYT C.G.H. BBK II, FTA, and the reduction of the existing interest deferral triggers levels for the transactions AyT HIPOTECARIO BBK I, FTA and AyT HIPOTECARIO BBK II, FTA. In Moody´s view, the deferral of interest payments on the junior classes of notes benefits the repayment of the class A notes, but increases the expected loss on the junior classes of notes.

The ratings of the notes take into account the credit quality of the underlying mortgage loan pools, from which Moody's determined the MILAN Aaa Credit Enhancement (MILAN Aaa CE) and the lifetime losses (expected loss), as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis. The expected loss and the Milan Aaa CE are the two key parameters used by Moody's to calibrate its loss distribution curve, used in the cash-flow model to rate European RMBS transactions.

Portfolio Expected Loss:

AyT HIPOTECARIO BBK I, FTA and AyT HIPOTECARIO BBK II, FTA are still performing in line with the revised assumptions as of October 2009. Serie AYT C.G.H. BBK I, FTA and Serie AYT C.G.H. BBK II, FTA are still performing in line with the initial assumptions as of closing. The reserve fund in all deals is currently at its target level.

Moody's expect the portfolio credit performance to continue to be under stress, as Spanish unemployment remains elevated. Moody's believe that the anticipated tightening of Spanish fiscal policies is likely to weigh on the recovery in the Spanish labour market and constraint further Spanish households finances. Moody's has also concerns over the timing and degree of future recoveries in a weaker Spanish housing market.

MILAN Aaa CE:

Moody's has isolated the impact of the structural amendments for both the swap and the interest deferral triggers in its analysis by keeping the latest revised assumptions for both the Expected Loss and MILAN Aaa CE. Moody´s current rating review exclusively addresses the rating implications of the implemented structural amendments.

The rating addresses the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest (except for C rated notes) and principal with respect of the notes by the legal final maturity. Moody's ratings only address the credit risk associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

TRANSACTION FEATURES

AyT HIPOTECARIO BBK I, FTA and AyT HIPOTECARIO BBK II, FTA closed in June 2005 and June 2006 respectively. Serie AYT C.G.H. BBK I, FTA and Serie AYT C.G.H. BBK II, FTA closed in April 2007 and April 2008 respectively.

The transactions are backed by high loan-to-value portfolios of first-ranking mortgage loans originated by BBK and secured on residential properties located in Spain, for an overall balance at closing of EUR 1.5 billion for Serie AYT C.G.H. BBK I, FTA and EUR 1.0billion for each of the other three transactions.

For details on the deal structure, please refer to the presale/new issue reports. These reports are available on www.moodys.com.

Some features in the deals have changed since closing:

Hedging agreement: Following BBK´s downgrade, the swap downgrade language was modified in all four BBK transactions so that BBK could remain as swap counterparty until the loss of Baa3/P-3 rating level, which is not in line with the criteria described in Moody's report titled "the Framework for De-linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions."

Treasury Bank Accounts and Paying Agents: BBK has been replaced as treasury account bank and paying agent by CECA (Confederación Española de Cajas de Ahorros, Aa3/P-1) in the transactions AyT HIPOTECARIO BBK I, FTA and AyT HIPOTECARIO BBK II, FTA.

CECA was already the treasury account bank and paying agent in the transactions Serie AYT C.G.H. BBK I, FTA and Serie AYT C.G.H. BBK II, FTA, so no further change was required in these transactions.

Servicer agreement: A back-up servicer trigger has been incorporated to the documentation, so that a back-up servicer will be appointed at loss of servicer´s Baa3 long term rating.

The principal methodologies used in this rating were Moody's MILAN Methodology for Rating Spanish RMBS published in July 2008, and Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction published in December 2008.

Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

REGULATORY DISCLOSURES

The ratings have been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information sources used to prepare the credit ratings are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purpose of maintaining a credit rating.

LIST OF RATINGS ACTIONS

Issuer: AyT HIPOTECARIO BBK I, FTA

....EUR914.5 million Class A, affirmed at Aaa (sf); previously on 15 October 2009, affirmed at Aaa (sf)

....EUR46.0 million Class B, affirmed at Aa1 (sf); previously on 15 October 2009, upgraded to Aa1 (sf)

....EUR39.5 million Class C, downgraded to Baa2 (sf); previously on 15 October 2009, upgraded to A3 (sf)

Issuer: AYT HIPOTECARIO BBK II FONDO DE TITUALIZACIÓN DE ACTIVOS

....EUR918.0 million Class A, affirmed at Aaa (sf); previously on 15 October 2009, affirmed at Aaa (sf)

....EUR43.5 million Class B, downgraded to A2 (sf); previously on 15 October 2009, confirmed at A1 (sf)

....EUR38.5 million Class C, downgraded to B1 (sf); previously on 15 October 2009, confirmed at Baa3 (sf)

Issuer: SERIE AYT COLATERALES GLOBAL HIPOTECARIO BBK I

....EUR1,391.2 million Class A, downgraded to Aa1 (sf); previously on 25 April 2007, rated Aaa (sf)

....EUR81.0 million Class B, downgraded to Baa2 (sf); previously on 25 April 2007, rated A2 (sf)

....EUR13.5 million Class C, downgraded to Ba2 (sf); previously on 25 April 2007, rated Baa3 (sf)

....EUR14.3 million Class D, downgraded to B3 (sf); previously on 25 April 2007, rated Ba2 (sf)

Issuer: SERIE AyT COLATERALES GLOBAL HIPOTECARIO BBK II

....EUR955.5 million Class A, downgraded to Aa2 (sf); previously on 10 April 2008, rated Aaa (sf)

....EUR30.5 million Class B, downgraded to Baa2 (sf); previously on 10 April 2008, rated A2 (sf)

....EUR7.0 million Class C, downgraded to B1 (sf); previously on 10 April 2008, rated Baa3 (sf)

....EUR7.0 million Class D, downgraded to Ca (sf); previously on 10 April 2008, rated Ba2 (sf)

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the Credit Rating Action. Please see the ratings disclosure page www.moodys.com/disclosures on our website for further information.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

London
Carole Bernard
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Paris
Annick Poulain
MD - Structured Finance
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes multiple rating actions on BBK deals following structural amendments
No Related Data.
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